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Senior Quants Specialist

3.00 to 4.00 Years   Mumbai City   27 Jul, 2021
Standard Chartered Bank Ltd
Job LocationMumbai City
EducationNot Mentioned
SalaryNot Disclosed
IndustryBanking / Financial Services
Functional AreaFinance / Accounts / Tax,Risk / Underwriting
EmploymentTypeFull-time

Job Description

*About Standard Chartered We are a leading international bank focused on helping people and companies prosper across Asia, Africa and the Middle East.To us, good performance is about much more than turning a profit. Its about showing how you embody our valued behaviours - do the right thing, better together and never settle - as well as our brand promise, Here for good.Were committed to promoting equality in the workplace and creating an inclusive and flexible culture - one where everyone can realise their full potential and make a positive contribution to our organisation. This in turn helps us to provide better support to our broad client base.The Role ResponsibilitiesThe Cortex SIMM team in MAG is responsible to design and implement initial margin models and the corresponding analytics. Key Responsibilities:

  • Develop, implement, test and document methodologies to measure, assess and optimize initial margin across all markets/asset classes
  • To support the implementation of a robust risk measurement and exposure capture framework for the purpose of effective risk management and regulatory capital calculation.
  • Implementation of risk models in the analytics library
  • Work closely with the business, risk managers and other stakeholders on risk solutions and analytics
People and Talent Consulted on aspects of maintaining a team with high proficiency for developing and implementing portfolio risk models. For example, by performing interviews, sourcing candidates, tutoring younger colleagues.Risk ManagementConsulted on all aspects of risk management that fall within the team s remit.GovernanceConsulted on all aspects of governance that fall within the team s remit.Regulatory & Business Conduct
  • Display exemplary conduct and live by the Group s Values and Code of Conduct.
  • Take personal responsibility for embedding the highest standards of ethics, including regulatory and business conduct, across Standard Chartered Bank. This includes understanding and ensuring compliance with, in letter and spirit, all applicable laws, regulations, guidelines and the Group Code of Conduct.
  • Effectively and collaboratively identify, escalate, mitigate and resolve risk, conduct and compliance matters.
Key Stakeholders
  • XVA desk
  • Prime Services
  • Model Validation
  • IT/STRATs teams
  • Traded Risk Management
Other Responsibilities
  • Perform other responsibilities assigned under Group, Country, Business or Functional policies and procedures.
REQUIREMENTS:
  • Experience with Prime Services business, analytics and risk management processes
  • Higher degree (MSc, PhD, DEA) in highly numerical subject such as mathematics or physics
  • Knowledge of risk modelling techniques, e.g. in: Initial margin models; market risk modelling; counterparty credit risk modelling; derivatives pricing and XVA.
  • Strong foundational knowledge of mathematics, particularly statistics.
  • Experienced user of programming languages, ideally with knowledge of C++
  • Knowledge of functional programming languages will be strong plus
  • Experience implementing models in a production-like setting and knowledge of common tools and techniques
  • Experience with Latex for documentation of models
,

Keyskills :
phi beta kappacredit riskmarket riskrisk modelsportfolio riskprogramming languagesfunctional programmingpersonal responsibilityquantitative managementmagrisklatexrisk management regulatory capital

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